AUTHOR: Vladimir Dimitrijevic

ABSTRACT – We propose a new type of exchange transaction type designated as a Priority Limit Order, offering clients a possibility to increase the time priority of their limit orders, at a reasonable premium proportional to the value of the order and with a smooth dependency on the current state parameters of the relevant portion of the order book. We conjecture that a new order type will prove a viable and frequent option for clients to complement their retail and algorithmic trading, and is a first of a kind transaction type with an activation in the past.